Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0917 |
| Annualized Std Dev | 0.2403 |
| Annualized Sharpe (Rf=0%) | -0.3816 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3369.0000 |
| NAs | 1.0000 |
| Minimum | -0.1609 |
| Quartile 1 | -0.0068 |
| Median | -0.0008 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0055 |
| Maximum | 0.1084 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0002 |
| Stdev | 0.0151 |
| Skewness | -0.2574 |
| Kurtosis | 15.4471 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0122 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0155 |
| Downside Deviation (Rf=0%) | 0.0107 |
| Downside Deviation (0%) | 0.0107 |
| Maximum Drawdown | 0.8543 |
| Historical VaR (95%) | -0.0200 |
| Historical ES (95%) | -0.0346 |
| Modified VaR (95%) | -0.0215 |
| Modified ES (95%) | -0.0215 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-10-28 | 2021-03-17 | NA | -0.8543 | 3120 | 3117 | NA |
| 2008-10-13 | 2008-10-13 | 2008-10-27 | -0.1609 | 11 | 1 | 10 |
| 2008-02-11 | 2008-05-16 | 2008-07-02 | -0.1303 | 98 | 67 | 31 |
| 2008-09-18 | 2008-09-19 | 2008-09-29 | -0.1125 | 8 | 2 | 6 |
| 2007-11-20 | 2007-12-10 | 2007-12-17 | -0.0593 | 19 | 14 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.6 | 0 | 0.5 | 3.1 |
| 2008 | -0.9 | 2.4 | -3.1 | 0 | -0.4 | 0.8 | 2 | 0.3 | 0.6 | -0.3 | 8.7 | -1.6 | 8.3 |
| 2009 | 0.8 | 0.4 | -2.2 | -1.1 | -2.9 | -1.5 | -1.2 | 2.5 | 2.8 | 3.4 | -2.7 | 0.6 | -1.3 |
| 2010 | -1.8 | -0.7 | -1.7 | 1.2 | 1.1 | -1.5 | 0.3 | -3.6 | -1.1 | 0.3 | -2.9 | -0.6 | -10.6 |
| 2011 | -2.4 | 1.3 | -0.9 | -0.3 | 2.2 | -1.1 | 1.2 | 1.1 | 3.6 | 3.2 | 0.9 | -0.5 | 8.5 |
| 2012 | -1.5 | -1.1 | -0.8 | -0.4 | 2.6 | -3.6 | -0.1 | -0.9 | -0.8 | -1.2 | -0.1 | -1.6 | -9.4 |
| 2013 | -0.8 | 0.2 | 1.1 | 0.7 | 1.9 | -0.9 | -1.4 | 1.1 | -0.5 | 0.7 | -0.2 | -0.4 | 1.6 |
| 2014 | 1.6 | -0.2 | -0.7 | -0.2 | 0 | -0.8 | 0.6 | 0.1 | 1.3 | -1.9 | 0.1 | 0.6 | 0.4 |
| 2015 | 1.7 | -0.1 | -0.5 | -1.1 | 0.4 | -0.7 | -0.6 | 3.5 | -0.2 | 0 | -1 | 1.1 | 2.4 |
| 2016 | 0.1 | -2.6 | 1.3 | 0.4 | 0.2 | 0 | 0.7 | -0.7 | -0.8 | 0.4 | 0.3 | -0.3 | -1 |
| 2017 | -0.4 | -1.2 | 0.1 | -0.5 | -0.6 | 0.1 | -0.7 | -0.3 | -0.5 | -0.2 | 0.3 | 0.1 | -3.6 |
| 2018 | -0.2 | 1.5 | -0.9 | 0.4 | -0.7 | -0.7 | 0.3 | 0.7 | -0.2 | -1.2 | 0.5 | -0.1 | -0.7 |
| 2019 | 0.1 | -0.6 | -1.2 | 0.6 | 0.8 | -0.6 | 0.5 | -0.4 | 0.9 | -0.9 | 0.7 | -0.4 | -0.7 |
| 2020 | 1.6 | 0.6 | 4.4 | 2.2 | -2.3 | -0.2 | 2.4 | -0.1 | -0.5 | 0.7 | -2.4 | 0.6 | 7.1 |
| 2021 | -1.1 | -1.9 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-10-25 70.1 SPY 152. 0.00240 -0.012 -0.0023 0.0464 0.101 0.382 0.683 GLD 76.0 0.0068 0.0004
2 2007-10-26 69.2 SPY 154. 0.0117 0.0264 0.0035 0.0423 0.110 0.377 0.739 GLD 77.7 0.0218 0.0263
3 2007-10-30 68.8 SPY 153. -0.0069 0.0086 -0.008 0.0453 0.110 0.352 0.708 GLD 77.4 -0.0099 0.0282
4 2007-10-31 67.9 SPY 155. 0.0104 0.0209 0.0036 0.0478 0.122 0.366 0.746 GLD 78.6 0.0164 0.041
5 2007-11-01 69.6 SPY 151. -0.0234 -0.0053 -0.0179 0.0503 0.0961 0.330 0.689 GLD 77.9 -0.0088 0.025
6 2007-11-02 69.3 SPY 151. 0.0011 -0.0158 -0.0183 0.0341 0.105 0.332 0.708 GLD 79.8 0.0244 0.0275
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
